Search Results - subject:"Heston's Model"

Stochastic volatility and stochastic leverage

Veraart, Almut E. D.; Veraart, Luitgard A. M. - School of Economics and Management, University of Aarhus - 2009

allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model … stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate … · Ornstein–Uhlenbeck process · square root diffusion · L´evy process · Heston model · Barndorff-Nielsen & Shephard model JEL …

Persistent link: https://www.econbiz.de/10004972835

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

Alòs, Elisa - Department of Economics and Business, Universitat … - 2009

By means of classical Itô's calculus we decompose option prices as the sum of the classical Black-Scholes formula with volatility parameter equal to the root-mean-square future average volatility plus a term due by correlation and a term due to the volatility of the volatility. This...

Persistent link: https://www.econbiz.de/10008558986

Simulation of diversified portfolios in a continuous financial market

Platen, Eckhard; Rendek, Renata - 2009

Persistent link: https://www.econbiz.de/10008662353

The evaluation of American compound option prices under stochastic volatility using the sparse grid approach

Chiarella, Carl; Kang, Boda - 2009

Persistent link: https://www.econbiz.de/10003857524

Optimal reinsurance and investment problem for an insurer with counterparty risk

Zhu, Huiming; Deng, Chao; Yue, Shengjie; Deng, Yingchun - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 242-254

This paper analyzes the optimal proportional reinsurance and investment problem for an insurer in a defaultable market. We assume that the reinsurance premium is calculated via the exponential premium principle. The insurer can allocate his/her wealth among the following securities: a bank...

Persistent link: https://www.econbiz.de/10011263850

The returns and risks of investment portfolio in stock market crashes

Li, Jiang-Cheng; Long, Chao; Chen, Xiao-Dan - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 282-288

model, based on a modified Heston model with a cubic nonlinearity, proposed by Spagnolo and Valenti. Through numerically …

Persistent link: https://www.econbiz.de/10011209736

Life insurance pricing in a Heston market with CIR interests

Bielert, Torben (contributor) - 2015

Persistent link: https://www.econbiz.de/10014009635

Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model

Ahlip, Rehez; Rutkowski, Marek - In: Applied mathematical finance 22 (2015) 1/2, pp. 1-27

Persistent link: https://www.econbiz.de/10010505183

Optimal reinsurance and investment problem for an insurer with counterparty risk

Zhu, Huiming; Deng, Chao; Yue, Shengjie; Deng, Yingchun - In: Insurance / Mathematics & economics 61 (2015), pp. 242-254

Persistent link: https://www.econbiz.de/10010515877

How to implement market models using VBA

Goossens, François - 2015

Persistent link: https://www.econbiz.de/10010493587